This behaviour of not asking for trashing on 'Play all Treasures' is intentional. If it doesn't ask when you play it 'by hand', that is a bug and if you can point to a game number where that happens, it would be very nice so there is a starting point for a bug hunt.
The intent behind "not asking for trashing on 'Play all Treasures'" is that it makes it possible for all such plays to be undoable without opponent approval, and that was implemented for the Renaissance release (which featured Ducat, which was feared to produce lots of cases where a player presses 'Play all Treasures, only to want to undo that by keeping a Copper in hand to trash).
Note that the trashing itself is not the problem here, but there are several cards that have draw effects when trashed (say Overgrown Estate or Cultist) and so the player could potentially see information before the undo that they shouldn't have. Since Sauna was the only case that could produce such a problem, it was changed such that it only asks when played individually.